As power electronics shrinks down to sub-micron scale, the thermal transport from a solid surface to environment becomes significant. Under circumstances when the device works in rare gas environment, the scale for thermal transport is comparable to the mean free path of molecules, and is difficult to characterize. In this work, we present an experimental study about thermal transport around a microwire in rare gas environment by using a steady state "hot wire" method. Unlike conventional hot wire technique of using transient heat transfer process, this method considers heat conduction, heat convection and heat radiation along the wire. Heat convection coefficient for a platinum wire in diameter 25 µm to air is characterized under different pressures to comprehend the effect of temperature and density of gas molecules. It is observed that heat convection coefficient varies from 14 W/m²K at 7 Pa to 629 W/m²K at atmosphere pressure. It is found that the heat convection coefficient increases rapidly at low pressure and then displays a slow increase towards the pressure at around atmosphere pressure. Under a constant pressure, heat convection coefficient decreases as the temperature is increased. The slopes of h versus temperature experience a continuous decrease as pressure is increased.